A discussion on mean excess plots

DOI10.1016/J.SPA.2010.04.002MaRDI QIDQ983173zbMATH OpenOpenAlexFDO

Authors Souvik Ghosh, Sidney I. Resnick

Publication date 3 August 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.5236

zbMATH Keywords

extreme valuespeaks over thresholdgeneralized Paretomean excess plots

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Graphical methods in statistics (62A09)

Abstract: A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.

Recommendations

• When does the mean excess plot look linear?
• Detecting tail behavior: mean excess plots with confidence bounds
• Weak limits for exploratory plots in the analysis of extremes
• Excess functions and estimation of the extreme-value index
• Asymptotic mean squared error of kernel estimator of excess distribution function

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Cited in

(16)

• Methods to distinguish between polynomial and exponential tails
• When does the mean excess plot look linear?
• Extreme events in dynamical systems and random walkers: a review
• Detecting tail behavior: mean excess plots with confidence bounds
• Invited article by M. Gidea: Extreme events and emergency scales
• Weak limits for exploratory plots in the analysis of extremes
• Sequential Monte Carlo samplers to fit and compare insurance loss models
• Convergence of persistence diagrams for topological crackle
• Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
• Cramér-von-Mises tests for the distribution of the excess over a confidence level
• Estimation of the Pareto and related distributions – A reference-intrinsic approach
• Generalized PELVE and applications to risk measures
• Are your data really Pareto distributed?
• Optimal threshold determination based on the mean excess plot
• Estimation of mean residual life based on ranked set sampling
• Threshold selection for regional peaks-over-threshold data

Describes a project that uses

Uses Software

• ismev
• QRM

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